Credit Risk Modelling: Intensity Based Approach
نویسندگان
چکیده
7 Credit-spreads-based HJM Type Model 21 7.1 Single Credit Rating Case . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21 7.2 Alternative Specifications of Recovery Payment . . . . . . . . . . . . . . . . . . . . . 29 7.3 Multiple Credit Ratings Case . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31 7.4 Market Prices of Interest Rate and Credit Risk . . . . . . . . . . . . . . . . . . . . . 37 7.5 Model Parameters . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39 7.6 Valuation of Credit Derivatives . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40
منابع مشابه
Reduced form modelling for credit risk
The purpose of this paper is to present in a unified context the reduced form modelling approach, in which a credit event is modelled as a totally inaccessible stopping time. Once the general framework is introduced (frequently referred to as “pure intensity” set-up), we focus on the special case where the full information at the disposal of the traders may be split in two sub-filtrations, one ...
متن کاملCredit Valuation Adjustment
Credit risk has become a topical issue since the 2007 Credit Crisis, particularly for its impact on the valuation of OTC derivatives. This becomes critical when the credit risk of entities involved in a contract either as underlying or counterparty become highly correlated as is the case during macroeconomic shocks. It impacts the valuation of such contracts through an additional term, the cred...
متن کاملPricing Credit Default Swaps Under Default Correlations and Counterparty Risk ∗
In this paper, we develop a generalized affine model to characterize correlated credit risk of multi-firms. When valuing credit derivatives, this new approach allows to incorporate correlative market and credit risk, interdependent default risk structure and counterparty risk into consideration. We have demonstrated our affine model not only combines the existing structural models and intensity...
متن کاملThe Current Models of Credit Portfolio Management: A Comparative Theoretical Analysis
The present paper aimed at studying the current models of credit portfolio management. There are currently three types of models which consider the risk of credit portfolio: the structural models (Moody's KMV model, and Credit- Metrics model), the intensity models (the actuarial models) and the econometric models (the Macro-factors model). The development of these three types of models is based...
متن کاملCredit Risk Modeling with Gaussian Random Fields
The literature on credit risk consists of different approaches in modeling the behavior of defaultable bonds. The structural approach is based on the evolution of the firm value to determine default and recovery. In contrast, the more recently developed intensity-based models specify the default time exogenously. In this approach the defaultable yield curve results from the risk-free yield curv...
متن کامل